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Kullback-Leibler approach to Gaussian mixture reduction

Runnalls, Andrew R. (2007) Kullback-Leibler approach to Gaussian mixture reduction. IEEE Transactions on Aerospace and Electronic Systems, 43 (3). pp. 989-999. ISSN 0018-9251. (doi:10.1109/TAES.2007.4383588) (KAR id:2782)

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A common problem in multi-target tracking is to approximate a Gaussian mixture by one containing fewer components; similar problems can arise in integrated navigation. A common approach is successively to merge pairs of components, replacing the pair with a single Gaussian component whose moments up to second order match those of the merged pair. Salmond [1] and Williams [2, 3] have each proposed algorithms along these lines, but using different criteria for selecting the pair to be merged at each stage. The paper shows how under certain circumstances each of these pair-selection criteria can give rise to anomalous behaviour, and proposes that a key consideration should be the Kullback-Leibler (KL) discrimination of the reduced mixture with respect to the original mixture. Although computing this directly would normally be impractical, the paper shows how an easily computed upper bound can be used as a pair-selection criterion which avoids the anomalies of the earlier approaches. The behaviour of the three algorithms is compared using a high-dimensional example drawn from terrain-referenced navigation.

Item Type: Article
DOI/Identification number: 10.1109/TAES.2007.4383588
Subjects: T Technology > TK Electrical engineering. Electronics. Nuclear engineering > TK5101 Telecommunications
T Technology > TK Electrical engineering. Electronics. Nuclear engineering
Divisions: Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Computing
Depositing User: Suzanne Duffy
Date Deposited: 24 Apr 2008 08:54 UTC
Last Modified: 16 Nov 2021 09:41 UTC
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